existence and uniqueness of this equation. Simulations are used to compare the hedging strategies in our model to standard Black …

Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has … accounts for the feedback effect from the Black-Scholes dynamic hedging strategies on the price of the asset, and from there … the asset following a Black-Scholes type dynamic hedging strategy, which is not known a priori, in order to insure against …

The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying … Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the …